The eligibility criteria to determine the eligibility of stocks and indices on which Futures & Options contract could be introduced for trading in Derivatives is based upon the criteria laid down by SEBI through various circulars from time to time.

Based on these circulars and notices and as per a SEBI surveillance measures the following criteria will be adopted by the Exchange for selecting stocks and indices on which Futures & Options contracts would be introduced:

Futures & Options Contracts on Stocks - SEBI vide circular number SEBI/HO/MRD/DP/CIR/P/2018/67 dated April 11, 2018 has reviewed framework for stocks in Derivatives segment.

Enhanced eligibility criteria for inclusion of Securities in F&O segment shall be as under:

• The stocks would be chosen from amongst the top 500 stocks in terms of average daily market capitalization and average daily traded value in the previous six-month period on a rolling basis.
• For a stock to be eligible, the median quarter-sigma order size over the last six months should not be less than Rs. 25 lakh. For this purpose, a stock's quarter sigma order size shall mean the order size (in value terms) required to cause a change in the stock price equal to one-quarter of a standard deviation
• The Market Wide Position Limit in the stock shall not be less than Rs 500 crore . The Market Wide Position Limit is valued taking into consideration 20% of number of shares held by Non-Promoters (i.e. free-float holdings) in the relevant underlying stock and the closing prices of the stock in the underlying cash market on the date of expiry of contract in the month.
• Average Daily Delivery value in cash market shall not be less than Rs.10Crs in previous six months on rolling basis.

Above criteria are to be met for a continuous period of six months.

The other criterias including criteria for exclusion of Securities in F&O segment shall be as under:

Derivatives on stocks (new/existing) which meet the enhanced eligibility criteria (mentioned above) shall be cash settled until further notification, however such stocks, if they fail to satisfy any of the enhanced eligibility criteria for a continuous period of three months, shall move from cash settlement to physical settlement. After moving to physical settlement, if such stocks do not meet any of the eligibility criteria (specified vide circular CIR/DNPD/3/2012 dated July 23, 2012) for a continuous period of three months, then they shall exit from derivatives segment.

Stocks which are currently in derivatives segment and meet the eligibility criteria (specified vide circular CIR/DNPD/3/2012 dated July 23, 2012) but do not meet the enhanced criteria shall be physically settled. Such stocks, however, shall exit from derivatives segment in case;

• They fail to meet any of the eligibility criteria (specified vide circular CIR/DNPD/3/2012 dated July 23, 2012) for a continuous period of three months, or
• They fail to meet any of the enhanced eligibility criteria after a period of one year from the date SEBI circular. (i.e April 11,2019)

After April 2019, only those stocks which meet the enhanced eligibility criteria shall remain in derivatives segment.

Stock which meet the enhanced eligibility criteria as per aforementioned SEBI circular shall also move to physical settlement albeit in a phased/calibrated manner.

The methodology used for calculating quarter sigma order size is as follows:

• Quarter sigma order size is calculated by taking four snapshots in a day from the order book of the stock in the past six months.
• The sigma (standard deviation) or volatility estimate is calculated in the manner specified by Prof. J. R. Varma Committee on Risk Containment Measures for Index Futures. This daily closing volatility estimate value is applied to the day's order book snapshots to compute the order size.
• The quarter sigma percentage is applied to the average of the best bid and offer price in the order book snapshot to compute the order size to move price of the stock by quarter sigma.
• The median order size to cause quarter sigma price movement is determined separately for the buy side and the sell side. The average of the median order size for the buy and the sell side is taken as the median quarter sigma order size.
• The quarter sigma order size in stock is calculated on the 15th of each month, on a rolling basis, considering the order book snapshots in the previous six months. Similarly, the average daily market capitalization and the average daily traded value is also be computed on the 15th of each month, on a rolling basis, to arrive at the list of top 500 stocks.

Relevant SEBI circulars - SEBI/HO/MRD/DP/CIR/P/2018/67 dated April 11, 2018, SEBI/HO/MRD/DP/CIR/P/2016/135 dated December 16, 2016, CIR/DNPD/3/2012 dated July 23, 2012, CIR/DNPD/4/2010 dated July 15, 2010.

Futures & Options Contracts on Index - Eligibility Criteria

The Futures Options Contracts on an index can be issued only if 80% of the index constituents are individually eligible for derivatives trading. However, no single ineligible stock in the index should have a weightage of more than 5% in the index. The index on which Futures and Options contracts are introduced shall be required to comply with the eligibility criteria on a monthly basis. If an index fails to meet the above eligibility criteria for 3 months consecutively, no fresh month contract shall be issued on that Index. However, the existing unexpired contracts shall be permitted to trade till expiry and new strike prices will continue to be introduced in the existing contracts.

Framework for Index Derivatives -

• The product success framework shall be applicable to all index derivatives at the underlying level. The framework shall not be applicable to flagship index of the exchange. The flagship index for BSE for the purpose of product success framework is S&P BSE SENSEX.
• The criteria for evaluation of the index derivatives are as follows:
  • 15% of trading members active in all index derivatives or 20 trading members whichever is lower should have traded in any derivative contract on the index being reviewed in each of the month during the review period,
  • Trading on a minimum of 75% of the trading days during the review period,
  • Average daily turnover of at least Rs. 10 crore during the review period, and
  • Average daily open interest of Rs. 4 crore during the review period
• Each of the above criteria shall be satisfied for continuation of the derivatives on the given index. If any index fails to satisfy any of the above mentioned criteria, then no fresh contracts shall be issued on that index. However, the existing unexpired contracts may be permitted to trade till expiry and new strikes may also be introduced in the existing contracts.

Surrogate / Pseudo index

• However, even if an index does not fulfil all the criteria during a review, the Exchange may not discontinue derivatives on that index provided there is a surrogate/pseudo index in another exchange(s), which continue to meet the evaluation criteria on the respective exchange. The index under review must have been surrogate/pseudo to another index on the date of review and must have remained as such for the major duration of the review period.
• For this purpose, an index may be considered to be surrogate/pseudo of another index, if all the following conditions are met:
  • The number of constituents is equal in both the indices. If not, then the number of constituents in the smaller index (index with smaller number of constituents) is not less than 80% of the number of constituents in the larger index,
  • At least 50% of the constituent stocks in the larger index are also part of the smaller index, and
  • The correlation between the two indices is at least 0.90 for the previous 6 months on a rolling basis.

An index in an exchange shall have only one pseudo/surrogate index per exchange.

• All index derivatives would be reviewed semi-annually in the first week of April and October based on the data for the preceding six months i.e. period of review would be October to March for the April review and April to September for the October review.
• Only those index derivatives which have completed at least 21 months from the launch month would be liable for review.
• Once an index is excluded from the derivatives list, it shall not be considered for re-inclusion for a period of at least six months. Exchanges may consider re-launching derivative contracts on the same index after carrying out suitable modification(s) in contract specifications based on market feedback, after a cooling off period of at least six months, subject to SEBI approval.

Order Matching Rules

Order Matching takes place after order acceptance wherein the system searches for an opposite matching order. If a match is found, a trade is generated. The order against which the trade has been generated is removed from the system. In case the order is not exhausted further matching orders are searched for and trades generated till the order gets exhausted or no more match-able orders are found. If the order is not entirely exhausted, the system retains the order in the pending order book. Matching of the orders is in the priority of price and timestamp. A unique trade-id is generated for each trade and the entire information of the trade is sent to the relevant Members.



Order Conditions

The derivatives market is order driven i.e. the traders can place only orders in the system. Following are the order types allowed for the derivative products. These order types have characteristics similar to the ones in the cash market.

• Limit Order: An order for buying or selling at a limit price or better, if possible. Any unexecuted portion of the order remains as a pending order till it is matched or its duration expires.
• Market Order: An order for buying or selling at the best price prevailing in the market at the time of submission of the order.
• Stop Loss: An order that becomes a limit order only when the market trades at a specified price.

All orders have the following attributes:

• Order Type (Limit / Market PF/Market PC/ Stop Loss)
• Asset Code, Product Type, Maturity, Call/Put and Strike Price
• Buy/Sell Indicator
• Order Quantity
• Price
• Client Type (Propritory / Institutional / Normal)
• Client Code
• Order Retention Type (GFD / GTD / GTC)
Good For Day (GFD) - The lifetime of the order is that trading session Good Till Date (GTD) - The life of the order is till the number of days as specified by the Order Retention Period. Good Till Cancelled (GTC) - The order if not traded will remain in the system till it is cancelled or the series expires, whichever is earlier.
• Order Retention Period (in calendar days) : This field is enabled only if the value of the previous attribute is GTD. It specifies the number of days the order is to be retained.
• Protection Points Protection Points : This is a field relevant in Market Orders and Stop Loss orders. The value enterable will be in absolute underlying points and specifies the band from the touchline price or the trigger price within which the market order or the stop loss order respectively can be traded.
• Risk Reducing Orders (Y/N): When a Member's collateral falls below 50 lacs, he will be allowed to put only risk reducing orders and will not be allowed to take any fresh positions. It is not essentially a type of order but a mode into which the Member is put into when he violates his collateral limit. A Member who has entered the risk-reducing mode will be allowed to put only one risk reducing order at a time.

1	Initial Margin
	1.1 Computation of Initial Margin   ICCL shall use the Standard Portfolio Analysis of Risk ("SPAN") methodology for the purpose of real time risk management. The Initial Margin requirement is based on a worst scenario loss of a portfolio of an individual client comprising his positions in options and futures contracts on the same underlying across different maturities and across various scenarios of price and volatility changes. The Initial Margin requirements are set so as to provide coverage of at least a 99% single-tailed confidence interval of the estimated distribution of future exposure over a two days time horizon. The client-wise margins are grossed across various clients at the Trading / Clearing Member level. The proprietary positions of the Trading / Clearing Member would be treated as that of a client (net basis). The margins levied to members are levied and collected in INR. 1.2 Portfolio Based Margining   The parameters involved in a portfolio based margining approach include- I. Worst Scenario Loss   The worst case loss of a portfolio is calculated by valuing the portfolio under several scenarios of changes in the price and volatility. The scenarios to be used for this purpose would be:   Risk Scenario Number Price Move in Multiples of Price Range Volatility Move in Multiples of Volatility Range Fraction of Loss to be Considered 1 0 +1 100% 2 0 -1 100% 3 +1/3 +1 100% 4 +1/3 -1 100% 5 -1/3 +1 100% 6 -1/3 -1 100% 7 +2/3 +1 100% 8 +2/3 -1 100% 9 -2/3 +1 100% 10 -2/3 -1 100% 11 +1 +1 100% 12 +1 -1 100% 13 -1 +1 100% 14 -1 -1 100% 15 +2 0 35% 16 -2 0 35% The probable premium value at each price scan point for volatility up and volatility down scenarios is calculated and then compared to the theoretical premium value (based on last closing value of the underlying) to determine profit or loss. The Black-Scholes option pricing model is used for the purpose of calculation of probable/theoretical option values. The maximum loss under any of the scenario (considering only 35% of the loss in case of scenarios 15 and 16) is referred to as the Worst Scenario Loss. II. Price Scan Range   The Price Scan Range ("PSR") is the probable price change over a two-day period. PSR would be specified by ICCL from time to time. The PSR is referred to in standard deviation/ sigma terms. The standard deviation (volatility estimate) shall be computed using the Exponentially Weighted Moving Average method ("EWMA"). The estimate at the end of time period t (σt) shall be estimated using the volatility estimate at the end of the previous time period. i.e. as at the end of t-1 time period (σt-1), and the return (rt) observed in the futures market during the time period t. The volatility estimated at the end of the day's trading would be used in calculating the initial margin calls at the end of the same day. The formula shall be as under: Where: λ is a parameter which determines how rapidly volatility estimates changes. The value of λ is currently fixed at 0.94. σ (sigma) means the standard deviation of daily returns in the futures market. "Return" is defined as the logarithmic return: rt = ln (St/St-1) where St is the price at time t. The price scan range for futures and option on individual securities is also linked to liquidity. The same is measured in terms of impact cost for an order size of INR 5 lakh. This is in addition to the requirement of increasing the price scan range on account of look ahead period as may be applicable. The mean impact cost as stipulated by SEBI is calculated on the 15th of each month on a rolling basis considering the order book snap shots of previous six months. If the mean impact cost of a security moves from less than or equal to 1% to more than 1%, the price scan range in such underlying is scaled by square root of three and scaling is dropped when the impact cost drops to 1% or less. Such changes are applicable on all existing open positions from the third working day from the 15th of each month. III. Volatility Scan Range   The Volatility Scan Range ("VSR") is the amount by which the implied volatility is changed in each risk array scenario. The VSR is referred to in percentage terms. IV. Margin Period of Risk   The Margin Period of Risk (“MPOR”) also known as the ‘liquidation period’  is the time period used for the calculation of the margins that Clearing Corporation estimates necessary, to manage its exposure to a defaulting member and during which the CCP is exposed to market risk related to the management of the defaulter's positions The PSR, VSR and MPOR parameters for generating the scenarios would be as below or such other percentage as may be specified by ICCL from time to time. Sr. No. Particulars PSR VSR MPOR (days) 1 Index Products 3 sigma 4% 2 2 Stock Products 3.5 sigma 10% 2 1.3 Minimum Initial Margin Requirement   The initial margin is deducted from the liquid assets of the clearing member on an online, real time basis. Sr. No. Particulars Minimum Initial Margin 1 Index Products 5.00% 2 Stock Products 7.50% 1.4 Initial Margin Requirement   The initial margin shall be deducted from the liquid assets of the clearing member on an online, real time basis. Sr. No. Particulars Price Scan Range 1 Index Products Higher of: PSR Sigma scaled up by square root of MPOR 3 sigma x 1.414 Minimum Initial Margin scaled up by square root of MPOR (5% x 1.414) 7.07% 2 Stock Products Higher of: PSR Sigma scaled up by square root of MPOR 3.5 sigma x 1.414 Minimum Initial Margin scaled up by square root of MPOR (7.5% x 1.414) 10.61%
2	Short Option Minimum Charge
	2.1 Index Products   5% of the notional value of all short Index options if: Worst-scenario loss + Calendar spread margin < Short option minimum margin 2.2 Stock Products:   7.5% of the notional value of all short Stock options if: Worst-scenario loss + Calendar spread margin < Short option minimum margin The notional value of option positions is computed as the product of the short open position in that option contract multiplied by the previous day's closing price of the underlying security, or such other price as may be specified by the ICCL from time to time.
3	Exposure Margin
	The exposure margin is deducted from the liquid assets of the clearing member on an online, real time basis. Sr. No. Particulars Exposure Margin Index Products 1 Index Futures Minimum Exposure Margin scaled up by square root of MPOR (3% x 1.414) 4.24% 2 Short Index Options Minimum Exposure Margin scaled up by square root of MPOR (3% x 1.414) 4.24% Stock Products 1 Stock Futures Higher of: 1.5 Standard Deviation (SD) scaled up by square root of MPOR 1.5 sd x 1.414 Minimum Exposure Margin scaled up by square root of MPOR (5% x 1.414) 7.07% 2 Short Stock Options Higher of: 1.5 Standard Deviation (SD) scaled up by square root of MPOR 1.5 sd x 1.414 Minimum Exposure Margin scaled up by square root of MPOR (5% x 1.414) 7.07% * Based on the last available closing price of the underlying index/security in the Capital Market segment of BSE.
4	Calendar Spread Margin
	A Calendar Spread means a spread trade with a simultaneous long and short position on futures/options with the same underlying asset and strike price (in case of options) but with different maturities. The margin on calendar spread is calculated and benefit is given to the Members for such positions till expiry of near month contract. The calendar-spread margin is charged in addition to worst-scenario loss of the portfolio. In the case of futures and options contracts on index and individual securities, the margin on calendar spread positions is calculated on the basis of delta of the portfolio consisting of futures and options contracts in each month. The spread charge shall be 0.5% upto a month for the difference between the two legs of the spread subject to minimum 1% and maximum 3% on the far side of the spread with legs up to 1 year apart. While calculating the spread charge, the last available closing price of the far month contract is used to determine the spread charge. For a calendar spread position, the extreme loss margin shall be charged on one third of the mark to market value of the far month contract.
5	Crystallised Loss Margin
	The Crystallised Loss Margin ("CLM") is levied to cover the risk arising out of accumulation of crystallised obligations incurred on account of intra-day squaring off of positions. The intra-day crystallised losses are monitored and the CLM is blocked by ICCL from the free collateral on an online real-time basis only for those transactions which are subject to upfront margining. Crystallised losses are offset against crystallised profits at a client level, if any.
6	Cross-Margining
	The cross-margining benefit across Equity Cash segment and Equity Derivatives segments is provided to all categories of market participants. Positions eligible for cross-margin benefit: Index futures position and constituent stock futures position in derivatives segment Index futures position in derivatives segment and constituent stock position in cash Stock futures position in derivatives segment and the position in the corresponding underlying in cash segment A basket of positions in index constituent stock/stock futures, which is a complete replica of the index in the ratio specified by BSE/ICCL, is eligible for cross margining benefit. The number of units is changed only in case of change in share capital of the constituent stock due to corporate action or issue of additional share capital or change in the constituents of the index. The positions in the derivatives segment for the stock futures and index futures shall be in the same expiry month to be eligible for cross margining benefit. 6.1 Computation of Cross Margin:   To begin with, a spread margin of 25% of the total applicable margin on the eligible off-setting positions, as mentioned above, is levied in the respective cash and derivative segments. Cross margining benefit is computed at client level on an online real time basis and provided to the trading member / clearing member / custodian, as the case may be, who, in turn, pass on the benefit to the client. For institutional investors, however, the cross margining benefit is provided after confirmation of trades. The computation of cross margining benefit is done at client level on an online real time basis and provided to the trading member / clearing member / custodian, as the case may be, who, in turn, shall pass on the benefit to the respective client. For institutional investors the positions in Capital market segment is considered only after confirmation by the custodian on T+1 basis and on confirmation by the clearing member in Derivatives segment. The positions in the Capital market and Derivatives segment is considered for cross margining only till time the margins are levied on such positions. While reckoning the offsetting positions in the Capital market segment, positions in respect of which margin benefit has been given on account of early pay-in of securities or funds is not be considered.
7	Updation of Risk Parameters
	The ICCL SPAN risk management parameters shall be updated at: Beginning-of-Day 11:00 a.m. 12:30 p.m. 02:00 p.m. 03:30 p.m. End-of-Day
8	Imposition of Additional Margins
	As a risk containment measure, ICCL may require clearing members to pay additional margins as may be decided from time to time. This shall be in addition to the aforementioned margins, which are or may have been imposed from time to time.
9	Enforcement and Collection of Margins
	Aforesaid margins are computed at a client level portfolio and grossed across all clients (including the proprietary positions of member) at the member level. Margins are collected/adjusted upfront from the liquid assets of the Clearing Members on an on-line real time basis. Members are required to collect initial margins, exposure margins, calendar spread margins and mark to market settlements and report details of such margins collected from their client/constituents to ICCL.
10	Mode of Payment of Margin
	Clearing members shall provide for margin in any one or more of the eligible collateral modes as specified by ICCL. The margins shall be collected/adjusted from the liquid assets of the member on a real time basis.
11	Net Option Value
	The Net Option Value ("NOV") is the current market value of the option times the number of options (positive for long options and negative for short options) in the portfolio. The Net Option Value would be added to the Liquid Net Worth of the clearing member i.e. the value of short options will be deducted from the liquid net worth and the value of long options will be added thereto. Thus mark-to-market gains and losses on option positions are adjusted against the available liquid net worth of the Clearing Member. Since the options are premium style, there is no mark-to-market settlement of profit or loss.
12	Settlement of Premium
	Premium is settled in INR and paid in by the buyer in cash and paid out to the seller in cash on T+1 day. Until the buyer pays in the premium, the premium due is deducted from the available liquid assets on a real time basis.
13	Risk Reduction Mode
	The entry and exit threshold is detailed below: Clearing Members: Put in RRM at 85% collateral utilisation & moved back to normal mode when utilisation goes below 80%. Trading Members: Put on RRM at 85% utilisation of trading limit assigned by their Clearing Members & moved back to normal mode when limit utilisation goes below 80%.

• Click here to download the F&O underlying list
• Click here to download corporate action details on F&O underlyings

Product Index Futures Index Options Stock Derivatives Stock Futures & Options Market Level There is no market wide position limits specified for index futures or Options contracts. There is no market wide position limits specified for index futures or Options contracts **The market wide position limit for single stock futures and stock option contracts shall be linked to the free float market capitalization and shall be equal to 20% of the number of shares held by non-promoters in the relevant underlying security (i.e., free-float holding). This limit would be applicable on aggregate open positions in all futures and all option contracts on a particular underlying stock. *Trading Member, Mutual Fund and FPI Category I Rs.500 crores or 15 % of the total open interest of the market in index futures, whichever is higher Rs.500 crores or 15 % of the total open interest of the market in index options, whichever is higher 20% of the applicable Market Wide Position Limit per Exchange Derivatives Client Level, NRI, Sub Accounts A self-disclosure requirement similar to that in the take-over regulations is prescribed as under: Any person or persons acting in concert who together own 15% or more of the open interest shall be required to report this fact to the exchange and failure to do so shall attract a penalty as laid down by the exchange / clearing corporation / SEBI A self-disclosure requirement similar to that in the take-over regulations is prescribed as under: Any person or persons acting in concert who together own 15% or more of the open interest shall be required to report this fact to the exchange and failure to do so shall attract a penalty as laid down by the exchange / clearing corporation / SEBI. The gross open position across all derivative contracts on a particular underlying stock should not exceed the higher of: 1% of the free float market capitalization (in terms of number of shares). or 5% of the open interest in the derivative contracts on a particular underlying stock (in terms of number of contracts). FPI Category II (other than individuals, family offices and corporates) Rs.300 crores or 10 % of the total open interest of the market in index futures, whichever is higher Rs.300 crores or 10 % of the total open interest of the market in index options, whichever is higher 10% of the applicable Market Wide Position Limit per Exchange FPI Category II (individuals, family offices and corporates) Rs.100 crores or 5 % of the total open interest of the market in index futures, whichever is higher Rs.100 crores or 5 % of the total open interest of the market in index options, whichever is higher 5% of the applicable Market Wide Position Limit per Exchange

*Additional Limits for Index derivatives in case of FPI Category (I)

a. Short positions in index derivatives (short futures, short calls and long puts) not exceeding (in notional value) the FPI Category (I) holding of stocks.

b. Long positions in index derivatives (long futures, long calls and short puts) not exceeding (in notional value) the FPI Category (I) holding of cash, government securities, T-Bills, money market mutual funds and gilt funds and similar instruments.
If the open position of an FPI Category (I) exceeds the index futures or options limits, such surplus would be deemed to comprise of short and long positions in the same proportion of the total open positions individually. Such short and long positions in excess of the said limits shall be compared with the FPI Category (I) holding in stocks, cash etc.

** Market Level Limit for Stock Derivatives

The Exchange enforces the market wide limits through administrative measures, in the manner detailed below:

At the end of each day the Exchange shall test whether the market wide open interest for any Security exceeds 95% of the market wide position limit for that Security. If so, the Exchange shall take note of open position of all client/TMs as at the end of that day in that Security, and from next day onwards the members/client shall trade only to decrease their positions through offsetting positions. While the Exchange will take this action only at end of day, they shall disclose real time information about the market wide open interest as a percentage of the market wide position limits.
At the end of each day during which the ban on fresh positions is in force for any Security, the Exchange shall test whether any member or client has increased his existing positions or has created a new position in that Security. If so, that client shall be subject to a penalty equal to a specified percentage (or basis points) of the increase in the position (in terms of notional value). The penalty shall be recovered before trading begins next day. The Exchange shall specify the percentage or basis points, which shall be set high enough to deter violations of the ban on increasing positions.
The normal trading in the Security shall be resumed after the open outstanding position comes down to 80% or below of the market wide position limit.

A calendar spread is a facility provided in BSE's Derivatives segment. This facility shall be offered on all those underlying assets (stocks and indices) on which derivative instruments are available for trading in BSE Derivatives segment. This facility shall help in creating simultaneously two positions viz. one shall be in near month futures instrument and 2nd shall be in the far month futures instrument of same underlying.

• Salient Features of Calendar Spread Facility
• Calendar Spread Specifications for Trading
• Example of Calendar Spread (Both Buy and Sell)

Salient Features of Calendar Spread Facility

• Calendar spread facility shall consist of 2 legs viz. one near month futures instrument and 2nd leg shall be the far month futures instrument. To facilitate this, calendar spread facility shall be available for trading across 3 contract months at any time, corresponding to the current, near and far monthly futures instruments on that underlying asset. For Example :
  

  Main Leg 1st Leg 2nd Leg RELI7812S RELIJUL2012 RELIAUG2012 RELI7912S RELIJUL2012 RELISEP2012 RELI8912S RELIAUG2012 RELISEP2012

  
  
• Nomenclature: Nomenclature pattern for calendar spread facility shall be as follows –

  Field Description Asset Identifier Month of 1st Leg Futures instrument Month of 2nd Leg Futures instrument Year of Futures instrument Spread Identifier No. of Characters/ Digits Four (4) One (1) One (1) Two (2) One (1) Illustration Reliance Ind. Ltd.) – RELI7812S RELI 7 8 12 S

  Month shall be represented as follows –
  

  Jan Feb Mar Apr May June July Aug Sept Oct Nov Dec 1 2 3 4 5 6 7 8 9 O N D

  
  
• Order Attributes:
  
  • A trader shall be able to enter orders as one single order.
  • This order shall reflect in the market watch & market picture views of that calendar spread facility.
  • Order types supported – Market, Limit, Market with IOC, Limit with IOC, Stop-loss
  • Order modification and cancellation shall be allowed.
  
  
• Trading Availability:
  
  • Orders in calendar spread shall not be allowed on maturity/ expiry of the futures instrument.
  • Orders shall not be allowed in the pre-open session (9:00am - 9:15am), closing session (3:30pm - 3:40pm) & post-closing session (3:40pm – 4:00pm).
  • Member suspension – Orders shall not be allowed for a member if that member is suspended in Derivatives segment.
  • Risk Reducing Mode (RRM) – Orders shall not be allowed for a member if that member is in RRM in Derivatives segment. That member shall be allowed to use calendar spread facility only if he is out of RRM. Moreover, in case of any open positions, the member shall be able to put square up orders in individual future legs
  
  
• Trade Execution:
  
  • A trade shall be executed when any order in a calendar spread matches with another opposite order entered in the same calendar spread.
  • Execution of 2 orders shall follow the existing price-time priority logic.
  • On execution of a original calendar spread trade, It shall be split into two more trades – one trade on the near month and the other trade on far month futures contract of same underlying.
  • These 3 trades shall reflect accordingly in the member's trade book.
  
  
• The "trade rate" of each of the three trades generated shall be determined as given below –
  

  Sr. No. Trade Description Trade Rate Trade 1 Original Calendar spread trade Traded spread rate Trade 2 Near month Futures instrument (1st leg) LTP of Near month Futures instrument^ Trade 3 Far month Futures instrument (2nd leg) LTP of Near month Futures instrument^ + Traded spread rate

  ^ - If LTP is not available, then previous close price of the near month futures instrument
  
  
• Positions created:
  

  Trade in calendar spread Position in near month futures instrument Position in far month futures instrument Buy Order resulting in trade Short Position Long Position Sell Order resulting in trade Long Position Short Position

  
  Illustration of Trade using calendar spread facility & resulting positions
  • Buy order in RELI7812S resulting in trade @ Rs.5
    This shall be split into 2 trades followed by creation of positions as follows –
    Short Position in RELIJUL2012 @ Rs.700 (LTP of Reliance July futures instrument)
    Long Position in RELIAUG2012 @ Rs.700 + Rs.5 = Rs.725
  • Sell order in RELI7812S resulting in trade @ Rs.5
    This shall be split into 2 trades followed by creation of positions as follows –
    Long Position in RELIJUL2012 @ Rs. 700 (LTP of Reliance July futures instrument)
    Short Position in RELIAUG2012 @ Rs.700 + Rs.5 = Rs.725
  
  
• Trade Management:
  
  • Trade Rectification – client code modification shall be allowed on trades in the respective individual futures instruments. However, client code modification shall not be allowed on the trade on the calendar spread.
  • Online trade Give-up/Take-up process in Derivatives segment – This shall be allowed on the trades in the individual futures instruments but shall not be allowed on the trade in the calendar spread.
  • Trade data indicators in Market watch, Market Picture views – Trades shall be added to the market statistics and shall reflect in trade data indicators such as LTP, Open Price, High Price, Low Price, Close Price, No. of trades, Trade Volume and Open Interest of the respective futures instruments.
  
  
• Exchange Transaction Fees:
  
  • Original calendar spread – Not applicable.
  • Individual Futures instruments – Transaction fees shall be levied as per the rates applicable for the Derivatives segment from time to time.
  
  

Calendar Spread Specifications for Trading


Important Points to Note

• A member shall be required to be active in Derivatives segment to be able to use the calendar spread facility.
• All trading rules of Derivatives segment shall apply to the futures instrument leg of the calendar spread, unless specified otherwise.

Example of Calendar Spread (Both Buy and Sell)

• Case 1:- Buy RELI7812S @ Rs 10
  
  • Execution - Buy Reliance August Futures & Sell Reliance July Futures.
  • Trade in RELIJUL2012 (sell position) @ LTP Price: Rs. 700.
  • Trade in RELIAUG2012 (buy position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.10 = Rs.710.
  
  
• Case 2:- Sell RELI7812S @ Rs 10
  
  • Execution - Sell Reliance August Futures & Buy Reliance July Futures
  • Trade in RELIJUL2012 (Buy position) @ LTP Price: Rs.700
  • Trade in RELIAUG2012 (Sell Position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.10 = Rs.710
  
  
• Case 3:- Buy RELI7812S @ Rs.10 & Sell RELI7812S @ Rs.12
  
  • Execution – Trade 1 - Buy Reliance August Futures & Sell Reliance July Futures
  • Trade in RELIJUL2012 (sell position) @ LTP Price: Rs.700.
  • Trade in RELIAUG2012 (buy position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.10 = Rs.710.
  • Trade 2 – Execution - Sell Reliance August Futures & Buy Reliance July Futures
  • Trade in RELIJUL2012 (Buy position) @ LTP Price: Rs.700
  • Trade in RELIAUG2012 (Sell Position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.12 = Rs.712
  • Position: Due to opposite trades in calendar spread, positions will be netted off.
  
  
• Case 4:- Buy RELI7812S @ Rs.10; Existing intraday buy position in the Reliance July Futures.
  
  • Execution - Buy Reliance August Futures & Sell Reliance July Futures
  • Trade in RELIJUL2012 (sell position) @ LTP Price: Rs.700.
  • Trade in RELIAUG2012 (buy position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.10 = Rs.710
  • Position: Position in RELIJUL2012 will be netted off due to existing buy position. However there will be open position in RELIAUG2012.

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• Trading Holidays
• Session Timings

Session Timings

• About Paired Option Contracts
• FAQs
• Circulars

About Paired Option Contracts

A paired option contract is new facility being introduced in BSE Derivatives segment. This facility allow trader to take positions across two different option contracts belonging to the same underlying asset by entering a single order.

Salient Features of Paired Option Contracts

• Paired options contracts are 2-legged contracts that allows a trader to take positions on 2 different option contracts belonging to the same underlying asset, at the same strike price and having the same expiry.
• Market lot, tick size and expiry of such contract is same as that of its corresponding individual leg.
• These contracts are available on current, near and far monthly contract.
• Minimum 2 In-the-Money, 2 Out-of-the-Money and 1 At-the-Money paired option contracts are made available for Trading.
• Paired option contract shall comprise of one Call leg and one Put leg having same strike price and expiry.
• Buying such contract implies taking a buy position in the individual Call option contract and sell position in the individual Put option contract with same strike price and expiry.
• Nomenclature of a paired option contract will be as follows:
  < Product code > < Type of Contract i.e. CNV > < Year and Month of Expiry > < Strike price >
  Given below is an example of SENSEX paired option contract with March 2015 expiry and 29500 strike price.
  

  BSXCNV15-MAR29500.00 BSX: - Option product code as defined in contract master. CNV :- Paired Option Contract 15-MAR :- Expiry Year and Month 29500 :- Strike Price

Circulars

There are no maximum and minimum price ranges for Futures and Options Contracts. However, to avoid erroneous order entry, dummy price bands have been introduced in the Derivatives Segment. Further, no price bands are prescribed in the Cash Segment for stocks on which Futures & Options contracts are available for trading. Also, for those stocks which do not have Futures & Options Contracts available on them but are forming part of the index on which Futures & Options contracts are available, no price bands are attracted provided the daily average trading on such indices in the F & O Segment is not less than 20 contracts and traded on not less than 10 days in the preceding month.

• Professional Clearing Member (PCM)
• Trading Cum Clearing Member (TCM) & Self Clearing Member (SCM)
• Trading Member (TM)
• Limited Trading Member (LTM)

Professional Clearing Member (PCM)

• Who can become a member of the Derivatives segment as a PCM ?
  Any individual/corporate can become a PCM subject to the networth criteria as per the format prescribed by LC Gupta committee report.
• What is the difference between Professional Clearing Member, Trading cum Clearing Member and Self-Clearing Member ?
  The only difference between PCM and TCM is that PCM does not have any trading rights; he has only the rights to clear the trades. With respect to SCM, PCM is allowed to clear the trades of any member of the Derivatives segment where as SCM has trading rights and can only clear his own trades.
• What are the criteria and annual charges applicable for a Professional-Clearing Member of the Exchange ?




*Networth Rs. 3 Crores (as per the format prescribed by LC Gupta committee report) *Minimum security Deposit Rs. 50 Lakhs– (whole of Rs.50 lakhs can be given in the form Bank Guarantee/FDR/cash) (This amount is payable after SEBI registration is received and at the time of commencement of business in Derivatives Segment) *SEBI Annual Charges Demand Draft of Rs.50, 000/- drawn in favor of Securities & Exchange Board of India.



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Trading Cum Clearing Member (TCM) / Trading cum Self Clearing Member (SCM)

• Who can become a member of the Derivatives segment as a TCM / SCM ? Any member of the cash segment of the Exchange is eligible to become TCM or SCM of the Derivatives Segment.
• What are the criteria of becoming a TCM / SCM of the Exchange ?
  
  

  *Networth Rs. 3 Crores for TCM (as per the format prescribed by LC Gupta committee report) Rs 1 Crore for SCM (as per the format prescribed by LC Gupta committee report) *Minimum security Deposit Rs. 50 Lakhs– (whole of Rs.50 lakhs can be given in the form Bank Guarantee/ FDR/cash) (This amount is payable after SEBI registration is received and at the time of commencement of business in Derivatives Segment) *SEBI Annual Charges Demand Draft of Rs.50, 000/- drawn in favor of Securities & Exchange Board of India.

  
  
• What is the difference between Self-Clearing Member and Trading cum Clearing Member ?
  The only difference between SCM and TCM is that SCM does not have the rights to clear the trades of other members he can only clear his trades, whereas TCM can clear the trades of any other member

Trading Member

• Who can become a member of the Derivatives segment as a Trading Member ?
  Any member of the cash segment of the Exchange is eligible to become Trading member of the Derivatives Segment.
• What are the criteria of becoming a Trading cum Clearing Member of the Exchange  ?
  
  

  *Networth Rs. 25 Lakhs (as per the format prescribed by LC Gupta committee report) *Minimum security Deposit NIL – Please refer to Notice No.19 dated 15 June 2011 (Click Here)

  
  
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Limited Trading Member

• Who can become a Limited Trading Member ?
  Any member of NSE or a member of subsidiary company of RSE, who is a clearing member of the Derivative Segment, can become a Limited Trading Member of the Derivatives Segment.
• What are the rights and liabilities of LTM ?


• A person need not be a member of the Exchange in order to be eligible for registration as a LTM.
• A Limited Trading Member shall have rights, privileges, obligations & liabilities of a TM.
• Rules, Bye – laws, Regulations, BRS, guidelines & other provisions of the Derivatives Segment, Exchange & SEBI to apply to a LTM.
• A LTM is not entitled to voting rights.
• LTM to be registered with SEBI as TM.
• LTM to satisfy all the eligibility conditions specified by SEBI


• What are the requirements to become a limited trading member of the Exchange?
  

  *Networth Rs. 10 Lakhs (as per the format prescribed by LC Gupta committee report) *Minimum security Deposit NIL – Please refer to Notice No.19 dated 15 June 2011 (Click Here)

For application forms refer "Booklet" which is available at a link on the top right hand corner of this page.

Checklist for:

• Professional Clearing Member (PCM)
• Trading Cum Clearing Member (TCM) & Self Clearing Member (SCM)
• Trading Member (TM)
• Limited Trading Member (LTM)
• Formats to Checklist